Essays on the Term Structure of Interest Rates
Thesis advisor: Christopher Baum === In the first essay, a multiprocess mixture model (MM) is used to explain the time variation in the relationship between forward rates and future spot rates. I find considerable support for modeling the relationship between one-month spot rates and forward...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Boston College
1994
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/2345/1754 |